Economics 608D Introduction To Econometrics (Masters Level .

Professor V. Joseph HotzDepartment of EconomicsDuke University243 Social Science BuildingEmail: hotz@econ.duke.eduFall Semester, 2016Lecture: 8:30 – 9:45 a.m. MW, 116 Old Chem Bldg.Office Hours: 3:00 – 5:00 p.m. Mondays or by Appt.Last Revised: Nov. 14, 2016Economics 608DIntroduction to Econometrics (Masters Level)Course Syllabus and OutlineCourse ObjectivesThis course is designed to be a graduate-level course in econometrics for M.A. students with astrong mathematics and statistics foundation. Students will be introduced to the major quantitativetechniques that economists use to test models, study economic behavior, evaluate policies, andrelationships between variables. Our goal is to learn enough methods and theory to be able to: Read & understand the econometric theory and arguments used in the economics literature.Determine which econometric technique is appropriate (inappropriate) in various circumstances.Conduct basic econometric analyses of various types of data using a standard software package(STATA)Take other MA level econometrics courses, including:Econ 612 Time Series Econometrics (Masters Level)Econ 613 Applied Econometrics: Micro (Masters Level)MA students who want to go on to a Ph.D. in Economics or a related field are encouraged to takethe required Ph.D. Econometrics sequence (Econ 703D and 707D) during their course of study atDuke. For those wanting to take one or both of the courses in the Ph.D. sequence but do not haveadequate preparation, we encourage them to take Stat 601 (Bayesian and Modern Statistics) or Stat611 (Introduction to Statistical Methods), rather than Econ 608D.Requirements and PrerequisitesThe formal prerequisites for this course are a strong background in Calculus and Probability andStatistics and an understanding of Matrix Algebra. Students that do not have these prerequisitesshould see me or the Head teaching assistant (TA). With respect to probability and statistics, pleaseunderstand that neither the TAs nor I will devote much, if any, time in the lectures or discussionsessions to teaching or extensively reviewing material in basic statistics. I will provide some elementary reviews of concepts from probability and statistical theory at various points in the lectureas they arise in my discussions of aspects of regression analysis. With respect to Matrix Algebra,I will begin the course with a brief review of key aspects that we will use to formulate and characterize results in regression analysis. If you are totally unfamiliar with Matrix Algebra, you shouldwork through Appendix A in the Greene textbook (more on the textbook below) and/or workthrough a Matrix Algebra text. (One is listed below under Other Resources.)If you need a permission number to add this class, please contact the MA Staff Assistant in the1

Ecoteach office (138 Social Science Building).University PoliciesStudents are expected to familiarize themselves with University policies concerning grading anddisabilities. Below are links to these tudents/faculty.phpTeaching Assistants, Discussion Section and TA Office HoursFu Ouyang (fu.ouyang@duke.edu) will be the head teaching assistant (TA) for this course andHaoyang Yu (haoyang.yu@duke.edu) and Lizi Yu (lizi.yu@duke.edu) also will serve as TAs forthe course. Fu will run the Wednesday and Friday Discussion Sections and Lizi will run the Thursday Section. Haoyang will handle the collection and distribution of the problem sets for the course.(More on problem sets below.) All three TAs will hold weekly office hours given below. If youhave questions about the lectures, problem sets or exams, do make use of these additional officehours; the TAs are there to help you learn the material in this course.TA Office Hours:Fu Ouyang: Wednesdays, 4:00 – 5:00 p.m. in grad lounge.Haoyang Fu: Thursdays, 4:00 – 6:00 p.m. in 308 Social Science Hallway.Lizi Yu: Tuesdays, 1:45 – 2:45 p.m. in grad lounge.Course StructureThe lectures will introduce new materials and develop the key concepts of the course. I will lectureusing slides, which are organized into Lectures, and a series of handouts. These materials areposted in appropriately labeled folders under Resources on course website, ECON.608D.001.F16,Sakai. The slides and handouts for particular lectures should be available on Sakai at least 24 hoursbefore the day I lecture on this topic in class. I recommend that you bring a copy to class. If I makemajor changes to the slides, either during or after class, I will post updated versions of them onSakai.The weekly discussion sections are intended to help you get answers to questions about conceptsfrom the lectures, the problem sets and, later in the course, about past exams. These sessions arenot intended to be additional lectures. Students should come to the sessions to which they areassigned prepared with questions to ask or send them to the TAs in advance of a session so theycan prepare responses to them. The discussion sections will start the week of September 5-9.There will be 7 problem sets distributed out during the course. They will be posted on Sakai, inthe “Problem Sets” folder under Resources. This folder contains a schedule for when each problemset will be posted and when they are due. The problem sets will be turned in to Haoyang Fu on orbefore the date they are due.I strongly encourage you to complete the problem sets. Working problems is an effective way oflearning the theoretical aspects of econometric methods. Each problem set will include at least one2

empirical problem in which you will be asked to conduct some analyses on a data set. These datasets will be made available on Sakai and most of them will be in STATA format. (More on STATAbelow.) You are encouraged to work on the analytic problems together. You will probably find iteasier to work on the empirical exercises individually, but that is up to you.The schedule for the release and due dates for the problem sets is as follows:Problem SetProblem Set #1Problem Set #2Problem Set #3Problem Set #4Problem Set #5Problem Set #6Problem Set #7Release 0/31/201611/17/2016Due 611/16/201611/28/2016The problem sets and any associated data files will be released on the Sakai course site and Haoyang will send you an email when they are available and tell you where the materials are located.You need to turn them in by placing them in Haoyang Yu’s Mailbox on the 2nd floor of the SocialScience Building by 11:59 a.m. of the Due Date. No late problem sets will be accepted. The problem sets will be graded within a week after the Due Date and will be returned at the end of classon that day. Students not picking up their graded problem sets must arrange to secure it fromHaoyang within a week of their being returned.There will be a mid-term exam and a final exam in the course. The schedule for these exams isas follows:ExamMid-Term ExamFinal ExamDay and TimeMonday, October 17 (in class)Sunday, December 18 (9 a.m. – 12 noon)Location116 Old Chem Bldg.116 Old Chem Bldg.GradingYour Course Grade will depend on your performance on the problem sets, mid-term examand final exam in the following way:Course ActivityProblem SetsMid-Term ExamFinal ExamTotalShare of Course Grade5%40%55%100%Concerning grading of problem sets, exams and class attendance, I maintain the following grading policies and practices:1. Problem Sets: The problem sets will be graded as follows. The TA will check whether studentssubmitted a problem set and whether they provided answers to all of its parts. Credit on each3

problem set will be assigned as follows: 0 credit if student does not hand-in problem set ontime; ½ credit if student turned in problem set but didn’t complete all parts; full credit if studentcompleted all parts.2. Makeup Exams: There will be no makeup exams and there are no exceptions to this rule. Ifyou miss the midterm, the weight of the missed exam will be placed on the final. If you missthe final exam, you will need to retake the course next year.3. The final exam is comprehensive. As you will see, it could not be otherwise, given that everything we do in this course builds on previous material.4. The exams will be closed book, but you will be allowed to bring a cheat sheet to each of theexams. There will be page limits on the cheat sheets. More on this in a couple of weeks.5. Class Attendance: Class attendance is strongly encouraged, but it is not required. I will nottake attendance. Please arrive on time.Data Analysis, Computer Labs, and Statistical SoftwareAs noted above, most of the empirical problems included in problem sets will use data sets set upin STATA. I also will use STATA for some empirical examples in my lectures. The data for theseexamples will be made available on Sakai, so you can replicate the results I present in class.STATA is available on the computers in the Basement (Room 01) of the Old Chem Building. Youalso can download and install a version of STATA on your PC/laptop for use in this course. Theinstructions for doing this can be found here. The Activation Codes for students in this course canbe found in the “STATA Activation Codes” folder in Resources on the course website on Sakai.I will use Stata 14 for the empirical examples I present in class.Course TextbookThe recommended textbook for this course is:Greene, William H. 2012, Econometric Analysis, 7th Edition. Prentice Hall.It is available in the Duke Bookstore. You also can purchase it, new or used, or rent a copy atamazon.com or valorebooks.com, and BarnesandNoble.com. I would note that you can obtain usedcopies of previous editions of this book and, by and large, using those previous editions (at leastback to the 5th Edition) should be fine for this course. That said, it is up to students to “translate”the reading assignments below, which are given for the 7th Edition, to the earlier editions.Other ResourcesOther good undergraduate econometrics texts: Wooldridge, J. Introductory Econometrics: A Modern Approach.Stock, J., Watson, M. Introduction to Econometrics.4

Goldberger, A.S. Introductory EconometricsMore Advanced econometrics texts: Wooldridge, J. Econometric Analysis of Cross Section and Panel Data.Hayashi, F. Econometrics.Hamilton, J. Time Series Analysis.Gallant, A.R. An Introduction to Econometric Theory.Texts for Linear Algebra and Statistics: Strang, G. Linear Algebra and Its Applications.Casella, G., Berger, R. Statistical Inference.STATA STATA reference manuals STATA website: www.stata.com (See Support/Statalist)MATLAB MATLAB reference manuals http://www.mathworks.com/ Duke Econ computing site provides many helpful tlab and http://dialog.econ.duke.edu/help/5